Roenick, a nine-time all-star who played with four teams, sent a text message to a reporter at The Philadelphia Inquirer reading, "I'm retiring; is that still news?" The story was posted on the paper's website Wednesday.
The 37-year-old centre was also an outspoken critic of the lockout that wiped away the 2004-05 season.
"It doesn't matter who wins or loses this anymore," he said when the work stoppage was nearing an end in June 2005. "It isn't about that now. It's about getting a deal and getting the game back on the ice."
Roenick played in 70 games last season for Phoenix, his second stint with the Coyotes, and had said late in the season he was considering retirement. He became a free agent on July 1.
Coyotes president Doug Moss told The Associated Press he was unaware of Roenick's decision. A message left with Roenick's agent was not immediately returned and calls to the player's home in Paradise Valley, Ariz., were not answered.
Before coming to Phoenix last season, Roenick played for Los Angeles and spent three seasons with Philadelphia from 2001-04.
Roenick, a Boston native, began his career with Chicago in 1988 and scored 258 of his 495 career goals there, including a career-best 53 in 1991-92, the year his Blackhawks made it to only the Stanley Cup final of his career. They were swept by Pittsburgh in four games.
The only American-born players with more goals than Roenick, a two-time Olympian, are Mike Modano (507) and Joey Mullen (502).